1. You should have first cancelled the engagement and then married your GF which you have not done causing social, emotional and financial damage to them for which they can drag you to court by filing a damage suit against you.
2. You shall have to take the stand that you had already informed them over phone and they are creating problem to you to take revenge on you for cancelling the engagement though they never said anything when you had told them about your decision to cancel the engagement and asked them to collect the articles they had given to you as per custom during the engagement.
3.In any case you can not marry her since you are already married.
4. If you have obtained an order from the High Court directing the police to protect you, then inform the police whenever they approach your residence seeking protection.
5. Send a legal letter to them asking them to collect the Articles they had gifted to you as per the customs, since you have cancelled the engagement and collect acknowledgement of receipt of the said articles from them while returning the same to them.